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rbreak

Restricted Structural Change Models

Overview

Methods for detecting structural breaks and estimating break locations under linear restrictions on coefficients within and across regimes using the method of Perron and Qu (2006).

Example

library(rbreak)

# Example data
data(example)
y <- example$y
bigt <- length(y)
z <- matrix(1, nrow = bigt, ncol = 1)

# Form A restrictions: coefficients in regimes 1 and 3 are equal, coefficients in regimes 2 and 4 are equal
m <- 3
q <- 1
trm <- 0.10
S <- matrix(c(1, 0,
              0, 1,
              1, 0,
              0, 1), nrow = 4, byrow = TRUE)
s <- rep(0, 4)

# Complete analysis
result_formA <- mainp(
  m = m, q = q, z = z, y = y, trm = trm,
  robust = 0, prewhit = 0, hetvar = 1,
  S = S, s = s,
  doestim = 1, dotest = 0, docv = 0,
  bigt = bigt, forma = 1, formb = 0
)

# Form B restrictions: coefficients in regimes 1 and 3 are equal, coefficients in regimes 2 and 4 are equal
R <- matrix(c(1, 0, -1, 0,
              0, 1,  0, -1), nrow = 2, byrow = TRUE)
r <- c(0, 0)

# Complete analysis
result_formB <- mainp(
  m = m, q = q, z = z, y = y, trm = trm,
  robust = 0, prewhit = 0, hetvar = 1,
  R = R, r = r,
  doestim = 1, dotest = 0, docv = 0,
  bigt = bigt, forma = 0, formb = 1
)

References

Perron, P., and Qu, Z. (2006). “Estimating Restricted Structural Change Models”. Journal of Econometrics, 134(2), 373-399. doi:10.1016/j.jeconom.2005.06.030

Bai, J., and Perron, P. (1998). “Estimating and Testing Linear Models with Multiple Structural Changes”. Econometrica, 66(1), 47-78.

Bai, J., and Perron, P. (2003). “Computation and Analysis of Multiple Structural Change Models”. Journal of Applied Econometrics, 18(1), 1-22.

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